ESM22 Daily Debrief 05/24/2022
Market Overview
The stock market was a mixed bag today. The Dow finished in the green while the other major indices fell. The S&P was down almost 2.5% at the lows today. The index held a late afternoon rally to erase most of those losses, but still finished red for the day. Interest rates dipped as bond futures gained.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -4.53%
Thus far, the lows from the past three months were all erased and May has established new 2022 lows. MoM, ES is OTFD unless the auction can recapture 4588.75 at some point this month.
Prior month’s close: 4127.5
Weekly Change: +1.05%
Last week, ES extended its weekly losing streak to seven. ES is OTFD the past five weeks. 4095 will need to be eclipsed to the upside this week to end OTFD.
Prior week’s close: 3899.5
Daily Change: -0.79%
ES erased yesterday’s LOD to end OTFU at two trading days. ES has been trading between 3807.5 and 3982.25 the last four days.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4099
Lows: 3807.5, 3796.25, 3728.5, 3720.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3955
ETH VPOC: 3925
ETH VAL: 3868
ES RTH Volume Profile (today)
RTH VAH: 3924
RTH VPOC: 3885
RTH VAL: 3874.5
Prior Day RTH High and Low
T+2 High (for next RTH session): 3982.25
T+2 Low (for next RTH session): 3906.5
Here is a chart of the past five sessions with a composite ETH Volume Profile:
Here is a chart of the past five sessions with a daily ETH/RTH Volume Profile:
Here’s a TPO chart of today’s session with ETH/RTH Market Profile:
The TPOC was around 3912 and singles at the bottom of the profile below 3875.5.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At yesterday’s close, wholesale’s position was long. The ONO was inside of the previous day’s value area. Inventory was short the entire Globex session below yesterday’s RTH close.
ONO: 3951.75
ONH: 3952.75
ONL: 3909.75
ONRange: 43
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s price range but below the value area. It was also between the T+2 high and low. After the opening bell, longs attempted to get ES into the previous day’s value area but fell short. Heavy supply was met at 3938.50 and shorts pushed ES underneath VWAP. Buyers and sellers transacted in the 3914 to 3926 range for much of the session’s first 30 minutes. Shorts then consumed all the bids as buyers disappeared and ES dropped below the previous day’s low. It ended the opening hour below 3900.
For the next hour, ES created a new LOD, while trading sideways in a range from 3872 to 3892. Supply ran out and buyers lifted the auction above VWAP heading into the lunch hour. After rising to 3928.75, longs were met with more supply. The next few hours saw ES go back and forth in a range from 3890 to 3935. The auction crossed VWAP several times as wholesalers put on and took off supply while searching for willing buyers. In the last 30 minutes of NYSE trading, supply was removed and longs lifted the auction up and through the top of the range. A new HOD was established at 3954.5 and the RTH session closed right at 3950.
O: 3928
H: 3954.5
L: 3872
Range: 82.5